Malliavin smoothness and density estimates for the third-order Hermite process

Abstract

We prove Malliavin nondegeneracy for the third-order Hermite process. The key step is to show that, for every nonzero test direction $h\in C_c^\infty(0,1)$, the directional Malliavin derivative of a third-order Hermite random variable is an infinite-rank Gaussian quadratic form. Using arbitrarily large orthonormal families of such directions, we derive a self-contained Fourier bound for their joint characteristic function and obtain polynomial small-ball estimates of arbitrary order for the Malliavin norm. This yields negative moments of every order. Combining the one-time estimate with determinant factorization and Malliavin strong local nondeterminism, we obtain negative moments of all orders for finite-dimensional Malliavin determinants. Consequently, all finite-dimensional distributions, as well as arbitrary vectors of non-overlapping increments, admit Schwartz densities. We further establish grid-uniform Sobolev bounds for inverse Malliavin determinants of normalized increment vectors and derive stretched-exponential estimates for all partial derivatives of their densities. The decay exponent is $2/3$, reflecting the third Wiener chaos. This settles the next non-Gaussian Hermite order after the Rosenblatt case and provides a quantitative counterpart to the order-two smoothness theory.